Key Features in this Release:
Added preference to popup the Alert Monitor when new alerts get triggered to let traders use RVFI as a personal trading assistant
Allow traders to double click on triggered alerts from the Alert Monitor and RiskVal will instantly bring trader to the sheet/tab and also flash the strategy row for quick decision making
Enhanced Sprd/Bfly alert management such that the column layout automatically reflects the corresponding tab layout
Added a “Beta dSprd” column to estimate what the expected change of day of the strategy would be based on its correlation to the benchmark
Added support for new indices: LBUSTRUU, LBEATREU, DCPB090Y to see the levels of the aggregated total return value unhedged for USD and EUR, and the Dealer Commercial Paper index.
OTC vs Exchange Vol Enhancement
Added option to set the Normal Vol type as daily or annual
Created an AUD IVSP monitor for AUD bond futures
Multiple graphs and Spread graphs are available for invoice spread columns across all currencies
Minor Fixes & Enhancements:
Curves
[USD] SOFR: Added SOFR vs FF Basis
[EUR] ASW Z Spline: created an IT All curve such that traders can use this curve to analyze BTPS against ASW Z RVS and CMT RVS. Apply this change from Global Preferences to update EUR Bond & Sprd/Bfly
TIPS: Updated DV01 column, now based on 1mm notional (previously based on 10k) which is now consistent with the Bond Roll’s DV01
EUR Sprd/Bfly: Allow traders to set Clearing House to EUREX
Market View – Basis Swap: Added FRA/OIS sprd for both EONIA vs EUR 3M basis, as well as SONIA vs GBP 3M basis
Trade Blotter: Matured bonds and expired futures will be removed automatically
Previous week's release - WI Bond, Trade Blotter, Future CTD, SSA/Agency/Provincial and [UX] Historical Period enhancements